Singular ergodic control for multidimensional Gaussian–Poisson processes

DOI10.1080/17442508.2013.795569zbMath1286.49023OpenAlexW2319964559MaRDI QIDQ5410804

Maurice Robin, José Luis Menaldi

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.795569

zbMATH Keywords

Gaussian processesergodic controlPoisson processessingular control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

On an ergodic two-sided singular control problem ⋮ Solution to HJB equations with an elliptic integro-differential operator and gradient constraint ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes

Cites Work

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• Ergodic Control of Diffusion Processes
• On singular stochastic control problems for diffusion with jumps
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

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